先锋期货期权日报-20250826

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents a comprehensive analysis of various futures and ETF options, including their volatility and potential arbitrage opportunities. It offers data on option prices, trading volumes, open interest, and implied volatility for different products on multiple exchanges. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - Basic Information: The trading volume of the SSE 50 ETF's main - month options was 726,523 lots, with an open interest of 668,187 lots. The volume ratio of call to put options was 1.74, and the weighted - average implied volatility was 29.95% [19][21]. - Volatility Trading: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling options above the curve and buying those below for the same month [25]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 72.2% at the settlement price and 8.23% at the counter - price [29][31]. 3.1.2 Huatai - Berry CSI 300 ETF - Basic Information: The trading volume of the main - month options was 653,651 lots, with an open interest of 410,000 lots. The volume ratio of call to put options was 1.97, and the weighted - average implied volatility was 33.46% [32][34]. - Volatility Trading: Similar to SSE 50 ETF, sell the upper - curve options and buy the lower - curve ones [38]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 143% at the settlement price and 7.88% at the counter - price [44][45]. 3.1.3 Southern CSI 500 ETF - Basic Information: The trading volume of the main - month options was 1,163,681 lots, with an open interest of 501,305 lots. The volume ratio of call to put options was 1.47, and the weighted - average implied volatility was 34.16% [46][48]. - Volatility Trading: Follow the rule of selling upper - curve and buying lower - curve options [50]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 263% at the settlement price and 32.9% at the counter - price [54][56]. 3.1.4 Huaxia SSE STAR Market 50 ETF - Basic Information: The trading volume of the main - month options was 844,588 lots, with an open interest of 737,624 lots. The volume ratio of call to put options was 1.72, and the weighted - average implied volatility was 66.83% [57][59]. - Volatility Trading: Adopt the strategy of selling upper - curve and buying lower - curve options [64]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 328% at the settlement price and 110% at the counter - price [66][68]. 3.1.5 E Fund SSE STAR Market 50 ETF - Basic Information: The trading volume of the main - month options was 218,684 lots, with an open interest of 259,621 lots. The volume ratio of call to put options was 1.8, and the weighted - average implied volatility was 70.49% [69][71]. - Volatility Trading: Use the method of selling upper - curve and buying lower - curve options [75]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 291% at the settlement price and 131% at the counter - price [78][80]. 3.2 Shenzhen Stock Exchange Options No detailed data analysis provided in the given text. 3.3 China Financial Futures Exchange Options No detailed data analysis provided in the given text. 3.4 Zhengzhou Commodity Exchange Options No detailed data analysis provided in the given text. 3.5 Dalian Commodity Exchange Options No detailed data analysis provided in the given text. 3.6 Shanghai Futures Exchange Options No detailed data analysis provided in the given text. 3.7 Shanghai International Energy Exchange Options No detailed data analysis provided in the given text. 3.8 Guangzhou Futures Exchange Options No detailed data analysis provided in the given text.